Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0033 |
| Annualized Std Dev | 0.1521 |
| Annualized Sharpe (Rf=0%) | 0.0216 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4903.0000 |
| NAs | 1.0000 |
| Minimum | -0.1435 |
| Quartile 1 | -0.0029 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0035 |
| Maximum | 0.2715 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0096 |
| Skewness | 2.9093 |
| Kurtosis | 164.8768 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0067 |
| Gain Deviation | 0.0082 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0116 |
| Downside Deviation (Rf=0%) | 0.0067 |
| Downside Deviation (0%) | 0.0067 |
| Maximum Drawdown | 0.5368 |
| Historical VaR (95%) | -0.0111 |
| Historical ES (95%) | -0.0211 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.5442 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-28 | 2008-10-10 | 2019-08-09 | -0.5368 | 3175 | 450 | 2725 |
| 2020-02-24 | 2020-03-18 | NA | -0.3015 | 272 | 18 | NA |
| 2004-03-10 | 2004-05-10 | 2005-07-11 | -0.1606 | 337 | 43 | 294 |
| 2001-10-01 | 2002-12-20 | 2004-03-09 | -0.1386 | 614 | 310 | 304 |
| 2005-09-07 | 2005-10-18 | 2006-01-31 | -0.0918 | 101 | 30 | 71 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 | -0.5 | 0.2 | -0.9 | -1.5 |
| 2002 | 0.2 | 0.1 | 0.5 | 0.2 | 0.1 | 0.8 | 0.6 | -0.1 | -0.3 | 0.7 | -0.2 | 0.8 | 3.5 |
| 2003 | 0.5 | -0.1 | 0.5 | 0.2 | 0.1 | 1.4 | 0 | -0.3 | 0.9 | 0.1 | -0.6 | -0.3 | 2.3 |
| 2004 | 1.4 | -1 | 0.3 | 0.7 | -0.8 | 1.1 | 0.1 | 0.5 | 0 | -0.3 | -0.3 | 0.2 | 1.8 |
| 2005 | 0.4 | -0.1 | 0.3 | -0.2 | 0.1 | 0.1 | 0.3 | 0.6 | 0.2 | 0.6 | 0.2 | 0.6 | 3.2 |
| 2006 | -0.3 | 0.2 | -0.1 | 1.3 | 0.5 | 0.3 | 0.1 | -0.4 | -0.1 | 0.1 | 0.1 | 0.7 | 2.3 |
| 2007 | -0.3 | 0.1 | -0.4 | -0.1 | -0.6 | 0.3 | 0 | 1.5 | 0.2 | -0.1 | 0.1 | 1 | 1.9 |
| 2008 | -0.4 | -1.7 | 0.3 | 0.5 | -0.1 | 0.7 | -0.5 | -0.2 | 3.6 | -0.8 | -3.2 | 0.6 | -1.3 |
| 2009 | 0.6 | -0.3 | 0.7 | 1 | -0.3 | -0.3 | 0.2 | 0.4 | 0.1 | -0.1 | 0.2 | 0.3 | 2.5 |
| 2010 | 1.2 | 0.5 | -0.2 | 0 | 0.1 | 0.5 | 0.5 | 0.1 | 0.1 | 0.7 | -1.1 | 2.3 | 4.6 |
| 2011 | 0.3 | 0.7 | 1.1 | 0.5 | -0.3 | 0.3 | 1.4 | -0.8 | 0.4 | 0.8 | -0.8 | -0.1 | 3.8 |
| 2012 | 1 | 1 | 0.1 | -0.1 | 0.1 | 0.3 | 0.3 | 0.4 | 0 | 0.5 | -0.2 | 0.1 | 3.5 |
| 2013 | 0.2 | 0 | -0.7 | 0.3 | -1.1 | 1.1 | -0.7 | 0.2 | -0.6 | -1.3 | 0.2 | -0.6 | -3 |
| 2014 | 0.6 | 0.4 | -0.5 | 0.4 | -0.4 | -0.6 | -0.1 | 0.3 | 0.1 | 0.2 | -0.2 | -0.2 | 0 |
| 2015 | 0.6 | 0.5 | -0.4 | -0.6 | -0.1 | 0.4 | 0.9 | 0.4 | 0.4 | 0.1 | 0.2 | 0.7 | 3.2 |
| 2016 | 0.3 | 0.1 | 0.7 | 0.1 | 0.6 | 0.9 | -0.1 | -0.3 | -0.1 | 0.1 | -0.8 | 0.4 | 1.9 |
| 2017 | -0.1 | -0.1 | 0.1 | 0 | 0.3 | 0.3 | 0.1 | 0.3 | -0.1 | 0 | 0.4 | 0.1 | 1.3 |
| 2018 | -0.4 | 0.2 | 0.1 | 0.4 | 0.1 | 0 | 0.3 | -0.1 | 0.3 | 0.1 | -0.9 | 0.9 | 1 |
| 2019 | -0.1 | -0.1 | 0.1 | 0.3 | 0.1 | -0.3 | 0.7 | 0.3 | 0 | -0.2 | 0.2 | 0.1 | 1.1 |
| 2020 | 0.2 | -1.6 | -3.8 | 0.7 | 1.8 | 0.5 | 0.3 | 0.5 | 0.4 | 0.2 | 0.8 | 1.3 | 1.1 |
| 2021 | 0.8 | 0.6 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
